Durham Mortgages A - Refinancing (2024): 03 March 2024

A refinancing of the Durham Mortgages A - Refinancing (2021) transaction, which closed on 19 February 2021, which was itself a re-financing of Durham Mortgages A, which initially closed on 23 May 2018.

The Issuer will make payments on the Notes from payments of principal and revenue received from a portfolio comprising loans secured over residential properties located in England, Wales, Scotland and Northern Ireland the equitable interest in which was sold to the Issuer by Dorset Home Loans Limited on 23 May 2018 (the Original Closing Date). The Loans comprising the Portfolio were purchased by the Seller from Bradford & Bingley plc on 26 April 2018.

As at the Portfolio Reference Date, the portfolio comprised of 10,295 accounts (11,795 sub-accounts) of loans advanced to borrowers upon the security of owner-occupied residential properties situated in England, Wales, Scotland and Northern Ireland, with all of the loans in the portfolio originated between 1994 and March 2009. The average account balance is £123,132 and the largest is for £729,929. Repayment type (by current balances): Interest Only – 88.66%, Repayment – 11.34%. Interest rate type: Float Life – 99.95%, Fixed Float – 0.05%. The WA indexed LTV is 50.92% and the WA seasoning is 206.38 months. Regional distribution: London – 30.64%, South East – 16.11%, North West – 9.75% and East Anglia – 9.41%.

UK & EU Risk Retention: On the Closing Date, Barclays Bank plc (the Retention Holder) will retain, as originator, on an ongoing basis, a material net economic interest of not less than 5% in the securitisation in accordance with Article 6(1) of the UK Securitisation Regulation and Article 6(1) of the EU Securitisation Regulation. As at the Closing Date, the retention will comprise the Retention Holder holding no less than 5% of the nominal value of each Class of Notes and the Class X Certificates.

US Risk Retention: The Retention Holder intends to satisfy the US Credit Risk Retention Requirements by acquiring and retaining, directly, an eligible vertical interest (EVI) equal to a minimum of 5% of the nominal value of each Class of Notes and the Certificates.

STS: The Notes are not intended to be designated as a UK STS securitisation or a EU STS securitisation for the purposes of the UK Securitisation Regulation or the EU Securitisation Regulation.

Compare/contrast: Durham Mortgages A - Refinancing (2021), Durham Mortgages B